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Article: Optimal investment-reinsurance with dynamic risk constraint and regime switching

TitleOptimal investment-reinsurance with dynamic risk constraint and regime switching
Authors
Liu, JYiu, CSiu, TChing, WK
KeywordsBellman (HJB) equations
Dynamic programming
Jacobi
Maximal conditional Value at Risk (MCVaR)
Optimal reinsurance and investment
Regime-switching
Regime-switching Hamilton
Utility maximization
Issue Date2013
Citation
Scandinavian Actuarial Journal, 2013, v. 2013, p. 263-285 How to Cite?
DOI: http://dx.doi.org/10.1080/03461238.2011.602477
Persistent Identifierhttp://hdl.handle.net/10722/185943
ISSN
0346-1238
2021 Impact Factor: 1.782
2020 SCImago Journal Rankings: 1.061
ISI Accession Number ID
WOS:000321544500002

 

DC FieldValueLanguage
dc.contributor.authorLiu, Jen_US
dc.contributor.authorYiu, Cen_US
dc.contributor.authorSiu, Ten_US
dc.contributor.authorChing, WKen_US
dc.date.accessioned2013-08-20T11:47:30Z-
dc.date.available2013-08-20T11:47:30Z-
dc.date.issued2013en_US
dc.identifier.citationScandinavian Actuarial Journal, 2013, v. 2013, p. 263-285en_US
dc.identifier.issn0346-1238-
dc.identifier.urihttp://hdl.handle.net/10722/185943-
dc.languageengen_US
dc.relation.ispartofScandinavian Actuarial Journalen_US
dc.subjectBellman (HJB) equations-
dc.subjectDynamic programming-
dc.subjectJacobi-
dc.subjectMaximal conditional Value at Risk (MCVaR)-
dc.subjectOptimal reinsurance and investment-
dc.subjectRegime-switching-
dc.subjectRegime-switching Hamilton-
dc.subjectUtility maximization-
dc.titleOptimal investment-reinsurance with dynamic risk constraint and regime switchingen_US
dc.typeArticleen_US
dc.identifier.emailChing, WK: wching@hku.hken_US
dc.identifier.authorityChing, WK=rp00679en_US
dc.identifier.doi10.1080/03461238.2011.602477-
dc.identifier.scopuseid_2-s2.0-84912078397-
dc.identifier.hkuros218367en_US
dc.identifier.volume2013en_US
dc.identifier.spage263en_US
dc.identifier.epage285en_US
dc.identifier.eissn1651-2030-
dc.identifier.isiWOS:000321544500002-
dc.identifier.issnl0346-1238-

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